This page presents the historical bull-market backtesting results for the ITM strategy applied to SPY. The results shown cover long-term market conditions and are generated mechanically from the published rules, without optimisation or discretionary adjustment.
The SPYG backtest covers multiple full market cycles and applies the same entry and exit rules throughout the test period. Results are shown for both the 50% and 60% in-the-money variants of the ITM strategy, allowing comparison of behaviour under identical market conditions.
The following trade lists show all SPYG positions generated by the ITM rules during the test period, recorded sequentially with no filtering or discretionary adjustment.
The trade dates shown are identical for both the 50% and 60% in-the-money variants of the ITM strategy; only the option strike selection differs.
Both the 50% and 60% ITM strategies follow the same trade dates. Performance differences arise solely from the option strikes used. The trades displayed above are those of the 50% strategy.
The graphs below show the cumulative performance of the ITM strategy applied to SPYG over the test period. Results are shown separately for the 50% and 60% in-the-money variants, using identical trade timing and underlying price data.
All SPYG results shown on this page are generated from the same underlying trade signals and timing. The differences between the 50% and 60% in-the-money variants reflect position structure rather than trade selection. No filtering, optimisation, or discretionary adjustments have been applied to the results shown.
All SPYG results shown on this page are generated from the same underlying trade signals and timing. Differences between the 50% and 60% in-the-money variants arise from option structure rather than trade selection. No filtering, optimisation, or discretionary adjustments have been applied to the results shown.
The information on this website is general information only. The author is not a financial adviser. Information should not be taken as constituting professional advice. The author is not liable for any loss caused, whether due to negligence or otherwise arising from the use of, or reliance on, the information provided on this website or other related published material.
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Please note that Heather answers all questions at the end of the ITM Blog.
Happy trading!
